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Optimal Trade Execution (Read 13084 times)

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Optimal Trade Execution
09/19/16 at 22:11:20
Hi All,

Looking to build some algos for optimal trade execution. Any good resources, a good starting point and perhaps some guidance?

So far I have got a few research papers on the subject. I have a bit of a bias towards evolutionary approaches / genetic algorithms.

Have also heard quite a lot about Agent-based modelling to simulate market impact and essentially test one's algos.

Is this the way to go?

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